Be sure to install ASIO drivers for best latency.
ASIO4ALL also works with the Lexicon
Be aware that ASIO only allows one application to use the interface at a time. If you have any other application started, that is using the interface, Ableton will not be able to use it.

In the Ableton audio driver preferences use the "Test Tone" to troubleshoot if sound can come out of the Lexicon. You can then loop it back with a cable to the input and test that you can cleanly record.